Restless bandit marginal productivity indices I: singleproject case and optimal control of a make-to-stock M/G/1 queue

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dc.contributor.author Niño Mora, José
dc.date.accessioned 2006-11-09T10:53:47Z
dc.date.available 2006-11-09T10:53:47Z
dc.date.issued 2004-02
dc.identifier.uri http://hdl.handle.net/10016/206
dc.description.abstract This paper develops a framework based on convex optimization and economic ideas to formulate and solve by an index policy the problem of optimal dynamic effort allocation to a generic discrete-state restless bandit (i.e. binary-action: work/rest) project, elucidating a host of issues raised by Whittle (1988)Žs seminal work on the topic. Our contributions include: (i) a unifying definition of a projectŽs marginal productivity index (MPI), characterizing optimal policies; (ii) a complete characterization of indexability (existence of the MPI) as satisfaction by the project of the law of diminishing returns (to effort); (iii) sufficient indexability conditions based on partial conservation laws (PCLs), extending previous results of the author from the finite to the countable state case; (iv) application to a semi-Markov project, including a new MPI for a mixed longrun-average (LRA)/ bias criterion, which exists in relevant queueing control models where the index proposed by Whittle (1988) does not; and (v) optimal MPI policies for service-controlled make-to-order (MTO) and make-to-stock (MTS) M/G/1 queues with convex back order and stock holding cost rates, under discounted and LRA criteria.
dc.format.extent 287788 bytes
dc.format.mimetype application/pdf
dc.language.iso eng
dc.language.iso eng
dc.relation.ispartofseries UC3M Working Papers. Statistics and Econometrics
dc.relation.ispartofseries 2004-01
dc.title Restless bandit marginal productivity indices I: singleproject case and optimal control of a make-to-stock M/G/1 queue
dc.type workingPaper
dc.subject.eciencia Estadística
dc.rights.accessRights openAccess
dc.identifier.repec ws040801
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